Related papers: Exact Bayesian inference for discretely observed M…
This paper presents a Bayesian method for identification of jump Markov linear system parameters. A primary motivation is to provide accurate quantification of parameter uncertainty without relying on asymptotic in data-length arguments. To…
Markov chain Monte Carlo (MCMC) algorithms are generally regarded as the gold standard technique for Bayesian inference. They are theoretically well-understood and conceptually simple to apply in practice. The drawback of MCMC is that in…
This article addresses the problem of efficient Bayesian inference in dynamic systems using particle methods and makes a number of contributions. First, we develop a correlated pseudo-marginal (CPM) approach for Bayesian inference in state…
Given discrete time observations over a growing time interval, we consider a nonparametric Bayesian approach to estimation of the L\'evy density of a L\'evy process belonging to a flexible class of infinite activity subordinators. Posterior…
Many scientific and engineering problems require to perform Bayesian inferences in function spaces, in which the unknowns are of infinite dimension. In such problems, many standard Markov Chain Monte Carlo (MCMC) algorithms become arbitrary…
Markov Chain Monte Carlo (MCMC) is a well-established family of algorithms primarily used in Bayesian statistics to sample from a target distribution when direct sampling is challenging. Existing work on Bayesian decision trees uses MCMC.…
This paper develops a novel sequential Monte Carlo (SMC) approach for joint state and parameter estimation that can deal efficiently with abruptly changing parameters which is a common case when tracking maneuvering targets. The approach…
We propose quantum algorithms that provide provable speedups for Markov Chain Monte Carlo (MCMC) methods commonly used for sampling from probability distributions of the form $\pi \propto e^{-f}$, where $f$ is a potential function. Our…
Probabilistic (or Bayesian) modeling and learning offers interesting possibilities for systematic representation of uncertainty using probability theory. However, probabilistic learning often leads to computationally challenging problems.…
A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…
In the present paper we propose a new MCMC algorithm for sampling from the posterior distribution of hidden trajectory of a Markov jump process. Our algorithm is based on the idea of exploiting virtual jumps, introduced by Rao and Teh…
In recent years dynamical modelling has been provided with a range of breakthrough methods to perform exact Bayesian inference. However it is often computationally unfeasible to apply exact statistical methodologies in the context of large…
This paper introduces a Bayesian framework that combines Markov chain Monte Carlo (MCMC) sampling, dimensionality reduction, and neural density estimation to efficiently handle inverse problems that (i) must be solved multiple times, and…
We show how to speed up Sequential Monte Carlo (SMC) for Bayesian inference in large data problems by data subsampling. SMC sequentially updates a cloud of particles through a sequence of distributions, beginning with a distribution that is…
This analysis derives the maximum likelihood estimator and applies Bayesian inference to model geometric Brownian motion, incorporating jump diffusion to account for sudden market shifts. The Bayesian approach is implemented using Markov…
In Bayesian statistics, many problems can be expressed as the evaluation of the expectation of a quantity of interest with respect to the posterior distribution. Standard Monte Carlo method is often not applicable because the encountered…
Bayesian inference promises to ground and improve the performance of deep neural networks. It promises to be robust to overfitting, to simplify the training procedure and the space of hyperparameters, and to provide a calibrated measure of…
Piecewise deterministic Markov process samplers are attractive alternatives to Metropolis--Hastings algorithms. A central design question is how to incorporate partial velocity refreshment to ensure ergodicity without injecting excessive…
We demonstrate the use of automatic Bayesian inference for the analysis of LISA data sets. In particular we describe a new automatic Reversible Jump Markov Chain Monte Carlo method to evaluate the posterior probability density functions of…
Bayesian inference for Continuous-Time Markov Chains (CTMCs) on countably infinite spaces is notoriously difficult because evaluating the likelihood exactly is intractable. One way to address this challenge is to first build a non-negative…